Code

ARMA-EGARCH-T Static and Dynamic Copula Models

Gaussian static model, Gumbel static model, Student’s-t static model, Clayton static model, sym model, ARMA Gaussian dynamic model, Gumbel dynamic model, and Student’s-t dynamic model

Matlab code here: arma-egarch-t-copula

ROC curve persents the performance of a model. Here, I provide R code for ROC Curve plotting.

Low frequency illiquidity measures include: Bid-Ask Spread, Effective Spread, Roll Measure, Amihud Measure, and Pastor and Stambaugh. The corresponding MATLAB code can be found here: Low Frequency Illiquidity Measures

Use AIC to select among GRACH, EGARCH, and GJR models. Code can be found here: fit_and_select_model

Use current market price of zero-coupon bond for model calibration and forcast. Python code can be found here: Ho and Lee python